TY - JOUR T1 - Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations JO - East Asian Journal on Applied Mathematics VL - 3 SP - 548 EP - 565 PY - 2018 DA - 2018/02 SN - 7 DO - http://doi.org/10.4208/eajam.110417.070517a UR - https://global-sci.org/intro/article_detail/eajam/10764.html KW - Forward backward stochastic differential equations, fully discrete scheme, error estimate. AB -

In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.